What's new

dynamic-delta-hedging

  1. Nicole Seaman

    YouTube T4-14: Dynamic option delta hedge

    To dynamically delta hedge is to rebalance the hedged position when the stock price moves (and therefore its delta moves, also). In this example, we rebalance once per week. We assume you are the market maker who writes (that is, sells) 100,000 call options where each option has a delta of...
  2. Nicole Seaman

    P1.T4.818. Futures delta and dynamic delta hedging (Hull Ch.19)

    Learning objectives: Describe delta hedging for an option, forward, and futures contracts. Describe the dynamic aspects of delta hedging and distinguish between dynamic hedging and hedge-and-forget strategy. Define the delta of a portfolio. Questions: 818.1. A market maker takes a short...
Top